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News Tone, Investor Sentiment, and Liquidity Premium
Liu, Jun; Wu, Kai; Zhou, Ming - 2022
Investor sentiment affects stock market liquidity by affecting noise trading and irrational market makers. Previous studies have focused on this effect with the time-series variation in sentiment and liquidity. This paper utilizes firm-specific news sentiment (FSNS) to examine its effect on...
Persistent link: https://www.econbiz.de/10013492675
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Chapter 15 Anomalies and market efficiency
Schwert, G. William - 2003
Anomalies are empirical results that seem to be inconsistent with maintained theories of asset-pricing behavior. They indicate either market inefficiency (profit opportunities) or inadequacies in the underlying asset-pricing model. After they are documented and analyzed in the academic...
Persistent link: https://www.econbiz.de/10014023856
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Speculative Stock Price and Inadequacy of the Implied Cost of Capital as a Proxy for Expected Return
Fong, Robert - 2020
The implied cost of capital (ICC), the internal rate of return that equates speculative stock price to discounted expected future dividends, includes a mispricing-driven component in addition to expected return. The estimated relation of a mispricing-associated factor (X) with ICC is thus a...
Persistent link: https://www.econbiz.de/10012839261
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Asset-Pricing Anomalies at the Firm Level
Cederburg, Scott - 2014
portfolio-based methods. In our initial tests, we confirm the existence of several CAPM anomalies at the firm level. Prominent … linked to their additional factors. Further results suggest that the economic importance of CAPM anomalies is overstated. We … find that anomalies are primarily confined to small stocks, few characteristics are associated with CAPM alphas out of …
Persistent link: https://www.econbiz.de/10013052445
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Testing the CAPM Under Asymmetric Information
Guéniche, Alain; Burlacu, Radu; Jimenez-Garcès, Sonia G. - 2022
portfolio is not a relevant benchmark for testing the CAPM. Each investor appraises expected returns and builds his optimal … benchmark to consider for the conditional CAPM(s)? Many CAPM empirical tests consider future realized returns as proxies for … correct benchmark for testing the CAPM from the perspective of this investor. Our empirical results provide a more optimistic …
Persistent link: https://www.econbiz.de/10013292834
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Do Five Asset Pricing Anomalies Share a Common Mispricing Factor? Multifaceted Empirical Analyses of Failure Risk Proxies, External Financing, and Stock Returns
Ogden, Joseph P. - 2010
Assuming that risk premiums are determined by failure risk, we present a stylized model of interactions among risk-proxy variables, external financing, and stock returns in which a common mispricing factor, involving operating profit and external financing, drives the following five asset...
Persistent link: https://www.econbiz.de/10013147129
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Stability in the ISE : Betas for Stocks and Portfolios
Oran, Adil - 2010
In this paper we examine the characteristics and stability of individual stock and portfolio betas of stocks listed in the Istanbul Stock Exchange (ISE) using samples of 500 individual stocks and 500 portfolios of 10 stocks each. We begin with a methodology similar to the basic event study...
Persistent link: https://www.econbiz.de/10013147415
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Credit rating downgrade risk on equity returns
Brakatsoulas, Periklis; Kukacka, Jiri - 2020
We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...
Persistent link: https://www.econbiz.de/10012242861
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618
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Expected stock returns worldwide : a log-linear present-value approach
Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charley C. Y. - 2018
We provide the first large-scale study of the performance of expected-return proxies (ERPs) internationally. Analyst-forecast-based ICCs are sparsely populated and not robustly associated with future returns. Earnings-model-forecast-based ICCs are well-populated, but are unreliable outside the...
Persistent link: https://www.econbiz.de/10011931329